eprintid: 2781
rev_number: 14
eprint_status: archive
userid: 69
dir: disk0/00/00/27/81
datestamp: 2015-10-23 12:05:04
lastmod: 2016-11-17 10:35:24
status_changed: 2015-10-23 12:05:04
type: monograph
metadata_visibility: show
creators_name: Bonollo, Michele
creators_name: Crimaldi, Irene
creators_name: Flori, Andrea
creators_name: Gianfagna, Laura
creators_name: Pammolli, Fabio
creators_id: michele.bonollo@imtlucca.it
creators_id: irene.crimaldi@imtlucca.it
creators_id: andrea.flori@imtlucca.it
creators_id: laura.gianfagna@imtlucca.it
creators_id: f.pammolli@imtlucca.it
title: Assessing financial distress dependencies in OTC markets:
a new approach by Trade Repositories data
ispublished: pub
subjects: HB
subjects: HF
subjects: HG
divisions: EIC
full_text_status: public
monograph_type: imt_eic_working_paper
keywords: Keywords: Financial distress interdependence, Joint probability of distress, Interest rate
swap, Systemic risk, Trade repositories. 
Jel codes: G01, G18, G19
note: This paper is a preliminary version of the article published in Financial Markets and Portfolio Management, 2016(4)
abstract: After the recent financial crisis, it is undoubtedly recognized the importance of assessing
not only the risk of distress for a single \financial entity", but also the distress dependencies
between the different \entities", where by \entities" we mean in a broad sense any relevant
cluster of products, risk factors, counterparties. In this paper, we focus on the Interest Rate
Swap (IRS) segment as a significant fraction of the OTC market. We define a distress indicator
by combining some distress drivers, such as averaged volumes, liquidity, volatility and
bid-ask proxies. Hence, we analyse the distress dependencies among sub-markets identified
by the segmentation of the IRS market according to contractual and financial features. We
try to combine in an innovative way some new ingredients, namely the more granular data
on OTC derivatives available from the trade repositories along with the classical JPoD approach
introduced in the recent years by the IMF for studying the distress interdependence
structure among financial institutions. The proposed technique seems to be quite promising.
Indeed, the results are quite close to the practical intuition. At the best of our knowledge,
this work is the first empirical study based on trade repositories' data for assessing systemic
risk.
date: 2015-10-20
date_type: published
number: 10
publisher: IMT Institute for Advanced Studies Lucca
pages: 22
institution: IMT Institute for Advanced Studies Lucca
citation:   Bonollo, Michele and Crimaldi, Irene and Flori, Andrea and Gianfagna, Laura and Pammolli, Fabio  Assessing financial distress dependencies in OTC markets: a new approach by Trade Repositories data.  EIC working paper series  #10/2015    IMT Institute for Advanced Studies Lucca         
document_url: http://eprints.imtlucca.it/2781/1/WP_2015_10.pdf